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Could anyone show to me that:

If dt is an infinitely small number, the probability that X is included within the interval (t, t + dt) is equal to f(t) dt ,i.e.

[itex]Pr(t<X<t+dt) = f(t)dt[/itex]

where f is the probability density function.

this sentence is from wikipedia but I could not prove this to myself.

Thanks if anyone can help.

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# P(t<X<t+dt)=f(t)dt ?

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